NO.PZ2023091701000096
问题如下：
A risk manager is estimating the 1-day 95% VaR on a domestic equity portfolio using a 100-day lookback period. The mean return, estimated from the historical data, is 0% with a standard deviation of 2%. The six most extreme negative returns over the lookback period, along with the time they occurred, are:
Over a period of 10 days after the risk manager computed the portfolio’s VaR, four new extreme declines occurred: -25%,-4.1%, -7.8% and -9.5%. On the other six days, the portfolio experienced positive returns. The risk manager must now update the previous VaR estimate to account for these changes. Assuming the portfolio has a current value of USD 100 million, what is the updated 1-day 95% VaR using the historical approach?
选项：
A.USD 3.28 million B.USD 4.70 million C.USD 10 million D.USD 25 million解释：
-4.7%在题目中表示return,VAR=E(r)-z*volatility=-4.7%-1.65*2%,为什么-4.7%表示VAR?
